[Most of this was written before the finale, but surprisingly not only that the finale didn't refute the below theory it strengthen it, so I added a whole new section that reflects that, and in retrospect the theory seems also to explain why Billy and Audrey were not in the finale, all the clues are here]
A second and a half before the Twin Peaks finale I have a theory about Audrey, Billy she's looking for, and the dream theme repeated over and over again in Twin Peaks.
I will take you step by step down the rabbit hole, just bear with me:
Audrey is looking for Billy, her lover, the one she seems to sleep with while she was in a relationship with the dwarf/not dwarf Charlie. It is Billy who will save her from the miserable life she seems to be living.
In part 16 Audrey finally arrives at the Roadhouse, right after we are introduced to Eddie Vedder – not by his stage name, but by his real name – Edward Louis Severson the third, and that's significant.
After the show we discover that Audrey is not really in the reality of Twin Peaks, but in some dream she dreams, and in fact in the Twin Peaks reality she's actually in a bright white room, in front of a mirror no less, probably at Ghostwood madhouse that was also mentioned in her conversations with Charlie.
Another hint that Audrey is not in the Twin Peaks reality hinted to me by the user EpicEsquire that he read in this article, and I quote:
"Another clue is the Emcee’s words. He calls it “Audrey’s Dance”. That is the name of that track on the Twin Peaks soundtrack alright, but in *our* world. Not in the world of Twin Peaks. She didn’t punch “Audrey’s Dance” on the RR Diner jukebox 25 years ago. So what is *that* supposed to mean?"
But who is Billy? There was some mentioning of Billy, that his truck was stolen, but they might just share the same name.
But what if Billy is Billy zane?
Wait a second, There is no Billy Zane in the reality of Twin Peaks, that's the name of the actor, the one who plays Audrey's lover from the original season, John Justice Wheeler
So let's move to the movie for now, Twin peaks: fire walk with me, and remember Phillip Jeffries (another one that shares a first name with other character, Philip Gerrard).
What does Phillip Jeffries say, whom is our beloved David Bowie?
"We live inside a dream"
And in part 14, in Gordon's dream – purposely Gordon, the one who is david lynch the director of the series in the non Twin Peaks reality – says no other than Monica Bellucci, the only character until then that appeared as part of the non Twin Peaks reality, actually elaborate on what David Bowie says:
"We are like the dreamer who dreams, and then lives inside the dream. "Troubled, she then asked:" But who is the dreamer?"
Friends, David Lynch tells us something here, over and over again, and we all ignore him, there are three "realities" in Twin Peaks (a number which lynch really adores).
The first is the "normal" reality of the series (which is quite funny to call it "normal"), the Twin Peaks reality.
The second is the unusual reality of the series, the reality of the red room, the black lodge, the white lodge, and so on.
And the third reality my friends, and here is the center of my theory, is our reality, us the viewers, this world, the world of Monica Bellucci, and David Lynch (not Gordon!).
Notice what happens in Gordon's dream, he is looking straight to the camera – the fourth wall breaks, the wall that breaks in movies and series only when the character exit his own media and talk to us the viewers:
Gordon meets Monica in a street in Paris, so when he turns around and looks at us he also looks at a very specific place….
Let's continue, Billy is mentioned twice more.
Once in Part 14, in the Roadhouse, in a conversation between two women (that one of them as Maura noted his David Lynch own wife). Those two for some reason did not appear before or after this scene (and I bet they will not even appear in the finale and I have a reason), blabbering about how Billy jumped over the fence and was bleeding from the nose and mouth, and Yada yada yada.
Second time Billy is mentioned for a moment, is when the son of David Lynch ladies and Gentlemen, now his son in our reality, himself, running and asking where is Billy?
And then what happens? All people on the bar at the diner are replaced! Reality has changed back!
What am I actually saying here?
I'm saying that Audrey sees our reality, that Gordon in his dream sees our reality, that Monica Bellucci's question can be divided into three parts and explained as follows:
1. "We are like the dreamer who dreams" – The We in this sentence are us, the spectators who stare at the screen and dream of Twin Peaks with David Lynch.
2. "and then lives inside the dream" - Which of us, the devoted fans, does not feel living inside a dream called Twin Peaks? That we spend the rest of the days glazed with dreamy eyes, and do not know what to do with ourselves until the next part arrives.
3. "but who is the dreamer?" And that of course are us, the series is taking place in our collaborative dream, Twin Peaks itself constitutes one of the main themes this season – the series is a "Tulpa", the imaginary creation of us all.
Even Mark Frost's "The Final Dossier", which is the last Twin Peaks book, in its last chapter, supports this:
(Tammy Preston:) "How much of what I know, what I’ve been culturally attuned to believe, feels like the set of a play on a strange stage I’ve wandered onto without knowing why I’m here. I don’t know the lines, I don’t know what part I’m playing, I don’t even know what the play’s about or what it’s called.
I’m just here onstage, stuck in a dream,
lights shining in my eyes. Is anyone out there watching?”"…
Again I'm not saying that Twin Peaks is a dream, I'm saying it exists just as our reality exists, and we manifest it in our dream. There's a big difference.
One last thing, remember what pulled Dougie's attention and after 16 long and frustrating hours manifest him to existence as Dale Cooper?
After Dougie hits the remote 3 times, it was none other than a movie from our reality – Sunset Boulevard, with a character which drove David Lynch the creator to name his Twin Peaks counterpart Gordon Cole.
And I wish that was what David Lynch tried to convey, because I must add that this is how I see most of the series and films in my life, and that is how I read most of my books – with a great belief that somewhere in some universe (just like "The Tempest" in Dan Simmons Ilium / Olympus books) we create, we "Tulpa" into existence what we read or watch.
And in this case Twin Peaks, we bring it into existence in our desire for it to take shape, and here in Twin Peaks the piece we created looks back at us in a mirror, us the dreamers, Shockingly (like us) saying three times, What? What? What?
Update part 17+18
So after watching the finale, surprisingly (or not) not only the theory was not refuted, it was reinforced, and the clues were evident here also.
We'll start with the fact that there was not a single mention of Audrey or Billy, cause Lynch already lay out to us what's the deal with them as I illustrated above.
We'll continue to the last part of episode 17, a huge amount of filming time Lynch put in front of our face the superimposed face of Dale Cooper, who looks straight at us without letting go.
This was not one second of looking at us as David Lynch did in his dream, these were minutes of breaking the fourth wall!
And if we still didn't understand, comes the ultimate line, already spoken by Phillip Jeffries, reinforced by Monica Bellucci, and now coming from the staring face of Agent Dale Copper: "We live inside a dream".
And now Part 18, the finale, the part that everyone still struggling with, and I’ll show you a few points that will shed a light on where exactly Dale/Richard and Laura/Carrie actually are.
First they drive for hours it seems, silently, with no dialogue what so ever, in the dark, this is the closest to how I think we all drive in real life alone in the dark, with no real meaning just driving somewhere, and a car headlights behind doesn't mean someone follows us.
Then the sign of Twin Peaks, or more accurately the missing sign of Twin Peaks.
We've seen this sign that Episode, aren't we:
A real sign, from a real city, with real population of 99,940 as of the census of 2010, as evident in Wikipedia.
So why no Sign of Twin Peaks seen when Dale/Richard enters town, as we're used to throughout the series, pilot, opening credits and so on?
The only "evidence" that we're headed to Twin Peaks is coming from Dale/Richard mouth, telling Laura/Carrie he's taking her there.
And from the moment Richard is awake David Lynch start throwing at us brands, some of them so bluntly that they got to have a good reason for, and as you'll read they do.
Like this MAERSK sign that Richard/Dale looks at for a whole few seconds while driving to Eat at Judy's Cafe
Or the Coca-Cola 60's ad when he drops the guns to the hot boiling oil
And the Used Parts sign of Nissan, Infinity, Toyota, Mazda, Mitsubishi, OK, OK, we got it Lynch!
and lastly remember the gas station they stop by to eat as Richard promised Carrie?
A real Valero gas station
Now they are passing near the Double R Diner (below, the top picture), with the T-Mar big sign ,while we are used to in the series that it has also the RR2GO! sign, and all neon lights lit (below, the bottom picture).
In our reality, they should pass near Twede's Cafe (pay attention to The blue "T-TWEEDE'S" sign)
So I did my research, apparently up till 1998, this was not the Twede's Cafe but Mar-T cafe (hence the large “Mar-T” hovering till now unacknowledged above the Double R’s sign)
But the RR sign? we'll get back to it in a bit.
Finally, let's end with the last scene, where they reach the Palmer's house.
But is it the Palmer's house?
And I say, Lynch has pulled on us his last trick: look at the credits.
Who plays Alice Tremond?
(And as someone from reddit noticed Alice = alice in wonderland (a dream world/alternate reality.), Tremond = tres monde = 3 worlds).
That Alice is played not by a real actress, but by none other than Mary Reber, the real owner of the home at 708 33rd Street, Everett, the house that served as the Palmer's house for the shooting of Twin Peaks.
"See you at the curtain call" says Dale Cooper, another clue, as this phrase refers to the moment occurring at the end of a performance when the actors return to the stage to introduce themselves.
Ladies and Gentlemen, the moment Dale Copper woke up in the motel, it was a different motel from the one he slept with Diane in, because he woke up in a motel that is in our reality!
But there's a leakage to our reality, a leakage lynch hinted to us 2 times at least, the first a leakage from the Twin Peaks reality – the RR sign on our real Mar-T cafe, and the second is Mary Reber saying she's Alice Tremond – a leakage from the black lodge reality.
"It's in our house now" says the Giant, not to Cooper, but to us the viewers, the Manifestors – we maybe "tulpa" them through our dreams, but by that we invited those 2 realities to enter our world.
"It's difficult to explain" says Richard to Carrie, and he's right.
How can he explain all of that, and that what ever strange sex ritual he had with Diane, made him wake up from our Twin Peaks manifestation dream and enter our motel, our city and our reality, in an attempt to bring in with him the black lodge entity known as Judy.
There's no David Lynch without the sound and the music that give that extra dimension to its work, so at last let's not just watch, let's also listen…
Remember what the log lady said? "Watch and listen to the dream of time and space".
And what did the Giant said to Dale Cooper in the very first part of the season? and here we're turning full circle.
"Listen to the sounds", "Remember, 4:30. Richard and Linda. Two birds with one one stone.”
If you don't know Richard and Linda are a famed husband-and-wife British folk-rockers, that have a song which is exactly 4:30 minutes long and is called Sunnyvista.
And I bet you'll get like me goose bumps when you listen to its first line in the song:
"In SunnyVista all your dreams are reality"…
There are 3 endings to the Twin Peaks story, one for each reality.
The first is the ending of “BOB” from the Black Lodge reality, the second is the ending of Laura as she is wiped out completely by Dale from the Twin Peaks reality, And the third ending is in our reality, where the 3 realities that now co-exist collapse on themselves – Carrie Page from our reality, hearing the whisper “Laura” from Twin Peaks reality, whispered by her mother that is inhabited by the Black Lodge reality.
A scream to collapse it all
P.S. Remember the last line in the series "What year is this?" said by Dale Cooper just before the shout?
Well if Dale Cooper thinks he is still in the Twin Peaks timeline, and Laura Palmer promised him "I'll see you again in 25 years", then the year must be 25 years after the original series ended in March 1989, which means it's March, 2014.
But that's his confusion, he's not only been moved to our reality, he's also been moved to our timeline, and the year is now 2017!
And it hits him right after he saw Mary Reber, that shouldn't even be there yet, as she bought the house only in September 2014…